Welcome to the private website of Bernd Schwaab. I work as a (senior) research economist in the European Central Bank's Financial Research Division. On this website you can find an overview of my research, computer code, a short bio, and contact information.
I hold an M.Phil (2007) and PhD (2011) in Economics from Tinbergen Institute and VU University Amsterdam. My research interests are in financial economics, monetary economics, and time series econometrics.
I have worked on the impact evaluation of unconventional monetary policy measures, banks' business model responses to low interest rates, central bank portfolio credit and market risk models, financial stability monitoring, and systemic risk measurement. Methodologically, I am interested in studying time series econometric methods for score-driven models, nonlinear or non-Gaussian state space models, and models for heavy-tailed data.
Disclaimer: This is my private site. The views expressed here are my own and do not necessarily reflect those of the European Central Bank or the Eurosystem.